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UID:84f555d655a07ed06058c90731ae3cc6
CATEGORIES:Seminars
CREATED:20170418T180353
SUMMARY:Lunch Seminar: Gabriele Zinna - Bank of Italy
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Risky Bank Guarantees (with T. Makinen and L. Sarno)\nAbstract:\n We show t
 hat when a sovereign grants a bank a risky guarantee, that is one which wil
 l not be honored with certainty, the risk premium on the claims of the guar
 anteed bank can be larger than that on the claims of an unguaranteed bank. 
 This is because, even though a guaranteed claim yields a higher payoff in a
 ll states of the world than an unguaranteed claim, the guarantee can render
  the payoff more procyclical, thus providing poor insurance in bad states o
 f the world. The predictions of our theoretical model are largely supported
  by the data; using standard portfolio-sort techniques, we find a statistic
 ally and economically significant risk premium associated with the guarante
 e. Taken together, our findings uncover novel evidence on the bank-sovereig
 n nexus.\n
DTSTAMP:20260407T103225Z
DTSTART:20160622T130000Z
DTEND:20160622T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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